Terry was killed in an ambush near Naco, Ariz., in December 2010. His death is closely tied to the government's botched Fast and Furious gun-walking operation.

Gustavo Cruz-Lozano, a Mexican National, had turned himself in to authorities on Wednesday, on charges of threatening to kill a sheriff in Texas.

A Phoenix FBI spokesman said that the Univision story is inaccurate. It is believed Cruz-Lozano gave the false interview to garner attention.

Cruz-Lozano was arraigned Thursday on two counts of making a terroristic threat
against Hidalgo County, Texas, Sheriff Lupe Trevino, who says he has no evidence
Cruz-Lozano was involved with Terry's killing.

To date, five people have been indicted in Terry's death. One of those men, Manuel Osorio-Arellanes, pleaded guilty to first-degree murder in Terry's death on Oct. 30, 2012.